Major depressive disorder (MDD) is a debilitating mental disease with a pronounced impact on the quality of life of many people; however, it is still difficult to diagnose MDD accurately. In this study, a nontargeted metabolomics approach based on ultra-high-performance liquid chromatography equipped with quadrupole time-of-flight mass spectrometry (UPLC-Q-TOF/MS) was used to find the differential metabolites in plasma samples from patients with MDD and healthy controls. Furthermore, a validation analysis focusing on the differential metabolites was performed in another batch of samples using a targeted approach based on the dynamic multiple reactions monitoring method. Levels of acyl carnitines, ether lipids, and tryptophan pronouncedly decreased, whereas LPCs, LPEs, and PEs markedly increased in MDD subjects as compared with the healthy controls. Disturbed pathways, mainly located in acyl carnitine metabolism, lipid metabolism, and tryptophan metabolism, were clearly brought to light in MDD subjects. The binary logistic regression result showed that carnitine C10:1, PE-O 36:5, LPE 18:1 sn-2, and tryptophan can be used as a combinational biomarker to distinguish not only moderate but also severe MDD from healthy control with good sensitivity and specificity. Our findings, on one hand, provide critical insight into the pathological mechanism of MDD and, on the other hand, supply a combinational biomarker to aid the diagnosis of MDD in clinical usage.